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financial return

2 papers

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Co-occurring keywords · papers mentioning both

extreme value theory (2) multivariate modeling (1) max-stable distribution (1) garch model (1) conditional value at risk (1) tail dependence (1) financial modeling (1) heavy-tailed distribution (1) distributionally robust optimization (1) financial time series (1)

Papers

Distributionally Robust Optimization as a Scalable Framework to Characterize Extreme Value Distributions UAI 2024 Cross-sectional Learning of Extremal Dependence among Financial Assets NeurIPS 2019